Empirical Research Of Behavioral Capital Asset Pricing Model Based On The Shanghai And Shenzhen Stock Markets

It has gone 20 years since Shanghai and Shenzhen stock market established, and they made great achievements in this period. However, compared with the mature Western financial markets, China's stock market still exists a big gap, so the practical value of copying Western theories is questionable. In recent years, a growing number of empirical researchers found that the capital asset pricing model does not explain all the proceeds of the securities. With the rise of behavioral finance theory, some academics have suggested there are a lot of "noise" in China's stock market,and the behavior of many individual investors is in line with the behavior of noise traders. Behavioral Finance relaxed the assumption of rational man in traditional financial theory, considered the real investors in financial markets is limited rational investors,and they are impacted by a variety of psychological factors or emotion when making investment decisions. It introduced psychology and behavioral research into the issue of asset pricing, proposed behavioral capital asset pricing model based on noise trading theory, changed the structure of a single investor in the traditional capital asset pricing model, divided the investors into information traders and noise traders, investors of two types influence each other,together determined the asset price, and more in line with reality in theory. Asset pricing theory has been the core of financial problems, and behavioral capital asset pricing model provides a new perspective to the rational pricing of financial assets, has great practical significance.Firstly this article summarize behavioral finance theory and asset pricing theory, the behavioral finance and traditional finance, the behavioral capital asset pricing theory and traditional capital asset pricing theory are compared and analyzed; View of the "noise" and its impact of China's stock market and effectiveness of asset pricing models, to some extent feasible,this paper use SSE 50 Index and Shenzhen Component Index of our stock markets to replace the behavior market portfolio respectively, using the data in 2006-2011 make empirical analysis of behavioral capital asset pricing model and the capital asset pricing model, the empirical results show the "noise" in China's stock market, and then calculate the size of the noise trader risk, then analyze the impact of "noise" on stock returns, and by comparing two beta on the ability of stock returns to verify which kinds of asset pricing model is more suitable for China's stock market.Obtained through empirical analysis,there are a lot of "noise" in our stock markets, especially in Shanghai stock market,and the "noise" of the stock as high as 93.6%, while the Shenzhen market was 66.7%, most of the stock impacted by the "noise" in varying degrees; Compared with results of previous studies, found that the degree of influence by the "noise" decreased in China's stock market; The study showed that noise trader risk and stock returns are negatively correlated in Shanghai market, that is, the presence of noise traders makes the stock can not get the normal benefits, investors in Shanghai market filled with "noise" will inevitably suffer losses,however,this relationship is not obvious in Shenzhen market; In the market fulled of noise traders,behavioral capital asset pricing model can explain the risks and benefits better than traditional capital asset pricing model .The empirical results show,there are more "noise" in Shanghai stock market than Shenzhen, the negative influence of "noise" is also more apparent in Shanghai stock market.Based on the above findings, this paper put forward various proposals to different objects.